The scene in "Batman: The Dark Knight Returns" where Superman pleads to the planet Earth itself for the strength to save its people. Later in that same book, the death of Alfred, as he watches Wayne Manor and his life with the Waynes go up in a roaring ball of flame - as he thinks, "How utterly proper."
The death of Toyman at the roller coaster (though he had it coming); it's not the actual event that packs the punch, but to see the usually cheery Carrie Kelly completely shattered and crying at the gruesomeness of his death, shedding tears through her silly thick glasses. A couple of pages through the next issue, she is still at it, about to be traumatized for life until Batman calls her to pick him up.
This scene is so infamous, that the only death scene more famous that it is the Death Of Superman (whether its the Man of Steel's torn cape flying on a stick or Lois Lane cradling a bloody, bruised and very much dead Superman)
And in in 'Under The Hood', where Jason had a gun to The Joker's head, telling Batman that if he were to stop him from killing the clown, he'd have to shoot Jason in the face, complete with tears. See here.
Alfred's reaction when asked by Superman at Bruce's funeral how he is handling it all:
"Am I alright? No, I'm not. ...My son has died."
Similarily, Bruce leaves a message concerning his last farewells, in case of his death.
"I always thought of you as a father to me, but I was wrong. You're not like a father, you are my father Alfred. And the fact I am blessed to have had two amazing ones in this life of mine, well it only makes it harder to say. Goodbye, Dad.
In Knightfall, when Scarecrow makes Batman relive Jason Todd's death, he delivers a eulogy while beating the Joker half to death.
Batman: "Just a boy. Braver than any man. Too brave to become a man."
In Arkham Asylum: A Serious House on Serious Earth, Two-Face (during the process of his therapy) is denied his coin, being forced to use a die and then tarot cards. Without his coin, his personality disintegrates completely, unable to decide whether of not to stand up, eat, or use the bathroom all because his mental disorder assigns decisions to each one of the cards.
Two-Face: "The moon is so beautiful. It's a big silver dollar, flipped by God. And it landed bad side up, see? So He made the world."
Two-Face at the end, whether through gratitude to Batman or a small part of Harvey Dent reemerging for a brief moment, lying about the coin toss to let Batman leave the asylum.
Two-Face: "Who cares for you? You're nothing but a house of cards."
More likely was because it was April Fools' Day.
Or because he equates Batman's death with going free, and his survival with (figuratively) remaining in the Asylum with the rest of the madmen for the rest of his life ("He dies here").
Parts of The Killing Joke with regards to the Joker, of all people. The joke at the end, and the following line:
Joker: "Madness is the emergency exit. You can just step outside, and close the door on all those dreadful things that happened. You can lock them away... forever."
The implication being that something happened to him that was so horrible that he gave himself amnesia to forget and still went insane.
Batman has this in the famous scene where Bruce's parents die.
Another Batman example: you would never believe a Lampshade Hanging to be this, but the story "When Is A Door" from Secret Origins Special #1 (penned by Neil Gaiman himself) has one. Despite being rather nonsensical, The Riddler's longing for "the good old days", back when The Joker wasn't killing everything that had a pulse, always gets to him. Nostalgia may be a part of it, seeing as how Riddler makes several references to the unforgettable sixties Batman TV show. This line is what really makes him crack up:
Riddler: "You look around here these days, it's all different. It's all changed. The Joker's killing people, for God's sake! Did I miss something? Was I away when they changed the rules?"
The Batman storyline "No Man's Land" has the death of Commissioner Gordon's wife, Sarah, at the hands of the Joker. Joker has a large number of infants held hostage; Sarah rushes in with a gun, and Joker tosses one of the babies at her, forcing her to drop her gun to save it. No points for guessing what he does once she's unarmed. Gordon gets the news outside - he rants tearfully about how the Joker has gone too far and seriously considers killing him, but after shooting him in the knee, chooses law over anarchy and walks away. And if him weeping on the steps as Batman holds him steady doesn't get to you, then the scene of him spending the new year alone, singing Auld Lang Syne dry-eyed over Sarah's grave definitely will.
Actually, what's even worse is that the Joker isn't laughing as he walks away. Even HE doesn't find it funny, which just makes it depressing.
Earlier on in "No Man's Land," there's the story where Renee Montoya first really meets Two-Face, "Two Down". At first, Renee is understandably suspicious of Two-Face who is a prominent member of Batman's own Rogues Gallery... but as they work together, even though she never forgets what he now is, she starts bonding with him and seeing what he could have been—-to the point where she's willing to stand up to the Batman himself in his defense. A viewer who doesn't feel her anguish and compassion for this horribly tragic person has no soul.
Going Sane. This underrated little four-part story arc humanizes The Joker far better than The Killing Joke ever did. The finale is especially sad: it features The Joker's inevitable return to madness and Rebecca hoping in vain for the return of her "missing" fiance, "Joseph Kerr".
What's worse is the realization that, because the Joker constantly reinvents his personality as a symptom of his madness, events similar to Going Sane may have played out several times over the course of the Joker's career.
The ending to the Batman: Black and White story ''Two of A Kind'': Two-Face, after being cured of his psychosis and having his face restored, falls in love with his psychiatrist and gets engaged. However, it is revealed that said psychiatrist has a psychotic twin sister who will stop at nothing to get Harvey to herself. She successfully seduces him, but when Harvey tries to break off the affair, she went Jumping Off the Slippery Slope and brutally murders her sister. Harvey, consumed with rage, destroys his newly restored face and meets with the psychotic twin, so as to exact revenge, and does so successfully, though he breaks down heartwrenchingly after having committed the act, cradling her body helplessly, looking as if he was crying. This is less heartbreaking than what he says to Batman after shooting the sister in the chest:
"Then I just waited for you to show up— as you always do— to take me back where I belong... with the rest of the crazy people."
A recent story in Batman: Streets of Gotham dealt with Mr. Zsasz kidnapping orphans and runaways and forcing them to participate in knife fights for people to gamble on. The Tearjerker comes into play when Batman and Robin encounter Humpty Dumpty, who has been gathering the bodies of the murdered children and giving them toys to try to "fix" them. And it's Christmas time as well, just to twist the knife a little more.
Gotham Central: Crispus Allen's murder. And how his killer got away with it. The only time I've ever cried reading a comic.
Damian's death and the resulting fallout in the Bat-Family. Batman & Robin in particular has an arc with Bruce going through the 5 stages of grief, where he further alienates and hurts his allies, still bearing wounds from Death Of The Family.
Another Streets of Gotham example is pretty much everything about "Sonny" the orphan and who he is heavily implied to grow up to become. Injured at a fire in his foster home he is sent to Martha Wayne's clinic where Martha and the staff are the only ones to ever show him kindness, and ends up witnessing a crime by some particularly nasty mobsters who break his jaw and infect him with a virus they were planning to use in wiping out Gotham's slumdwellers to test it's effects. However he returns to the clinic and Martha and her friends managed to find a cure which averts the deadly epidemic, which causes the most repulsive and sadistic of the mobsters to immediately firebomb the clinic in an insane rage. The kid survives and rushes to find help for an unconscious Martha, only to run into the same mobster who abducts him unseen even as the Justice Society closes in. He then proceeds to inflict horrifying physical, mental, and sexual abuse on the kid for the next few years, beating him till he is unrecognisable and forcing his already broken jaw to set incorrectly making it extremely pointed. All the while taunting him by telling him to "laugh more" and to stop frowning. Given such a horrifying backstory its depressingly clear how someone like The Joker was born.
Batman #471. Batman heads into the sewers to investigate an odd string of robberies perpetrated by Killer Croc. Turns out that he had been taken in by a bunch of vagabonds, an old lady protecting him. When Batman finds Croc, Croc goes nuts and starts attacking until Bats realizes that time's up: they're activating a new waterway and it would destroy these people's home. Bats and Croc try to hold back a crumbling wall, but when the old lady falls into the flooding room, Bats is forced to rescue her. Helplessly, everyone watches as Croc is swept away, defiantly screaming at the water before he does. The last panels show the vagabonds singing "Hush Little Baby", the song the old lady used to pacify Croc. He did come back about two years later, but those last panels are still powerful.